{"id":"https://openalex.org/W2984278512","doi":"https://doi.org/10.1007/s00500-020-04840-9","title":"Improving portfolios global performance using a cleaned and robust covariance matrix estimate","display_name":"Improving portfolios global performance using a cleaned and robust covariance matrix estimate","publication_year":2020,"publication_date":"2020-03-14","ids":{"openalex":"https://openalex.org/W2984278512","doi":"https://doi.org/10.1007/s00500-020-04840-9","mag":"2984278512"},"language":"en","primary_location":{"id":"doi:10.1007/s00500-020-04840-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00500-020-04840-9","pdf_url":null,"source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-02508748","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5105695790","display_name":"Emmanuelle Jay","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Emmanuelle Jay","raw_affiliation_strings":["Fideas Capital, 21 avenue de l\u2019Op\u00e9ra, 75001, Paris, France","Quanted and Europlace Institute of Finance, Palais Brongniart, 28 place de la Bourse, 75002, Paris, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Fideas Capital, 21 avenue de l\u2019Op\u00e9ra, 75001, Paris, France","institution_ids":[]},{"raw_affiliation_string":"Quanted and Europlace Institute of Finance, Palais Brongniart, 28 place de la Bourse, 75002, Paris, France","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5009658259","display_name":"Thibault Soler","orcid":null},"institutions":[{"id":"https://openalex.org/I4210088826","display_name":"Centre d'\u00c9conomie de la Sorbonne","ror":"https://ror.org/006shqv80","country_code":"FR","type":"facility","lineage":["https://openalex.org/I11559806","https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I277688954","https://openalex.org/I4210088826","https://openalex.org/I4210150854","https://openalex.org/I51101395"]},{"id":"https://openalex.org/I51101395","display_name":"Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne","ror":"https://ror.org/002t25c44","country_code":"FR","type":"education","lineage":["https://openalex.org/I51101395"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Thibault Soler","raw_affiliation_strings":["Centre d\u2019Economie de la Sorbonne, MSE, Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne, 106-112 bd de l\u2019H\u00f4pital, 75647, Paris Cedex 13, France","Fideas Capital, 21 avenue de l\u2019Op\u00e9ra, 75001, Paris, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre d\u2019Economie de la Sorbonne, MSE, Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne, 106-112 bd de l\u2019H\u00f4pital, 75647, Paris Cedex 13, France","institution_ids":["https://openalex.org/I4210088826","https://openalex.org/I51101395"]},{"raw_affiliation_string":"Fideas Capital, 21 avenue de l\u2019Op\u00e9ra, 75001, Paris, France","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069220777","display_name":"Eug\u00e9nie Terreaux","orcid":null},"institutions":[{"id":"https://openalex.org/I277688954","display_name":"Universit\u00e9 Paris-Saclay","ror":"https://ror.org/03xjwb503","country_code":"FR","type":"education","lineage":["https://openalex.org/I277688954"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Eug\u00e9nie Terreaux","raw_affiliation_strings":["DEMR, ONERA, Universit\u00e9 Paris-Saclay, 91123, Palaiseau, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"DEMR, ONERA, Universit\u00e9 Paris-Saclay, 91123, Palaiseau, France","institution_ids":["https://openalex.org/I277688954"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5022689387","display_name":"Jean\u2010Philippe Ovarlez","orcid":"https://orcid.org/0000-0001-8056-4196"},"institutions":[{"id":"https://openalex.org/I277688954","display_name":"Universit\u00e9 Paris-Saclay","ror":"https://ror.org/03xjwb503","country_code":"FR","type":"education","lineage":["https://openalex.org/I277688954"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Jean-Philippe Ovarlez","raw_affiliation_strings":["DEMR, ONERA, Universit\u00e9 Paris-Saclay, 91123, Palaiseau, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"DEMR, ONERA, Universit\u00e9 Paris-Saclay, 91123, Palaiseau, France","institution_ids":["https://openalex.org/I277688954"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5089919393","display_name":"Fr\u00e9d\u00e9ric Pascal","orcid":"https://orcid.org/0000-0003-0196-6395"},"institutions":[{"id":"https://openalex.org/I277688954","display_name":"Universit\u00e9 Paris-Saclay","ror":"https://ror.org/03xjwb503","country_code":"FR","type":"education","lineage":["https://openalex.org/I277688954"]},{"id":"https://openalex.org/I4210107720","display_name":"CentraleSup\u00e9lec","ror":"https://ror.org/019tcpt25","country_code":"FR","type":"facility","lineage":["https://openalex.org/I277688954","https://openalex.org/I4210107720"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Fr\u00e9d\u00e9ric Pascal","raw_affiliation_strings":["L2S, CentraleSup\u00e9lec, Universit\u00e9 Paris-Saclay, 91190, Gif-sur-Yvette, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"L2S, CentraleSup\u00e9lec, Universit\u00e9 Paris-Saclay, 91190, Gif-sur-Yvette, France","institution_ids":["https://openalex.org/I277688954","https://openalex.org/I4210107720"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5078327275","display_name":"Philippe de Peretti","orcid":"https://orcid.org/0000-0002-0695-277X"},"institutions":[{"id":"https://openalex.org/I4210088826","display_name":"Centre d'\u00c9conomie de la Sorbonne","ror":"https://ror.org/006shqv80","country_code":"FR","type":"facility","lineage":["https://openalex.org/I11559806","https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I277688954","https://openalex.org/I4210088826","https://openalex.org/I4210150854","https://openalex.org/I51101395"]},{"id":"https://openalex.org/I51101395","display_name":"Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne","ror":"https://ror.org/002t25c44","country_code":"FR","type":"education","lineage":["https://openalex.org/I51101395"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Philippe De Peretti","raw_affiliation_strings":["Centre d\u2019Economie de la Sorbonne, MSE, Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne, 106-112 bd de l\u2019H\u00f4pital, 75647, Paris Cedex 13, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre d\u2019Economie de la Sorbonne, MSE, Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne, 106-112 bd de l\u2019H\u00f4pital, 75647, Paris Cedex 13, France","institution_ids":["https://openalex.org/I4210088826","https://openalex.org/I51101395"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5046888638","display_name":"Christophe Chorro","orcid":"https://orcid.org/0000-0002-1214-9000"},"institutions":[{"id":"https://openalex.org/I4210088826","display_name":"Centre d'\u00c9conomie de la Sorbonne","ror":"https://ror.org/006shqv80","country_code":"FR","type":"facility","lineage":["https://openalex.org/I11559806","https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I277688954","https://openalex.org/I4210088826","https://openalex.org/I4210150854","https://openalex.org/I51101395"]},{"id":"https://openalex.org/I51101395","display_name":"Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne","ror":"https://ror.org/002t25c44","country_code":"FR","type":"education","lineage":["https://openalex.org/I51101395"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Christophe Chorro","raw_affiliation_strings":["Centre d\u2019Economie de la Sorbonne, MSE, Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne, 106-112 bd de l\u2019H\u00f4pital, 75647, Paris Cedex 13, France"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Centre d\u2019Economie de la Sorbonne, MSE, Universit\u00e9 Paris 1 Panth\u00e9on-Sorbonne, 106-112 bd de l\u2019H\u00f4pital, 75647, Paris Cedex 13, France","institution_ids":["https://openalex.org/I4210088826","https://openalex.org/I51101395"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5105695790"],"corresponding_institution_ids":[],"apc_list":{"value":2990,"currency":"USD","value_usd":2990},"apc_paid":null,"fwci":0.7236,"has_fulltext":false,"cited_by_count":5,"citation_normalized_percentile":{"value":0.68449989,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"24","issue":"12","first_page":"8643","last_page":"8654"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11447","display_name":"Blind Source Separation Techniques","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T11447","display_name":"Blind Source Separation Techniques","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/1711","display_name":"Signal Processing"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9976000189781189,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9937999844551086,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/covariance-matrix","display_name":"Covariance matrix","score":0.7405107617378235},{"id":"https://openalex.org/keywords/unobservable","display_name":"Unobservable","score":0.6090162992477417},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.49901628494262695},{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.46898916363716125},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.462833434343338},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.4434128403663635},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.44007959961891174},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.42566561698913574},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.41819679737091064},{"id":"https://openalex.org/keywords/matrix","display_name":"Matrix (chemical analysis)","score":0.4108273983001709},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3137660622596741},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.3043020963668823},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.13299524784088135},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.11939096450805664}],"concepts":[{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.7405107617378235},{"id":"https://openalex.org/C2780695315","wikidata":"https://www.wikidata.org/wiki/Q3799040","display_name":"Unobservable","level":2,"score":0.6090162992477417},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.49901628494262695},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.46898916363716125},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.462833434343338},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4434128403663635},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.44007959961891174},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.42566561698913574},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.41819679737091064},{"id":"https://openalex.org/C106487976","wikidata":"https://www.wikidata.org/wiki/Q685816","display_name":"Matrix (chemical analysis)","level":2,"score":0.4108273983001709},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3137660622596741},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3043020963668823},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.13299524784088135},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.11939096450805664},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C192562407","wikidata":"https://www.wikidata.org/wiki/Q228736","display_name":"Materials science","level":0,"score":0.0},{"id":"https://openalex.org/C159985019","wikidata":"https://www.wikidata.org/wiki/Q181790","display_name":"Composite material","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s00500-020-04840-9","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s00500-020-04840-9","pdf_url":null,"source":{"id":"https://openalex.org/S65753830","display_name":"Soft Computing","issn_l":"1432-7643","issn":["1432-7643","1433-7479"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Soft Computing","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-02508748v1","is_oa":true,"landing_page_url":"https://hal.science/hal-02508748","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Soft Computing, 2020, 24, pp.8643-8654. ⟨10.1007/s00500-020-04840-9⟩","raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:HAL:hal-02508748v1","is_oa":true,"landing_page_url":"https://hal.science/hal-02508748","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Soft Computing, 2020, 24, pp.8643-8654. ⟨10.1007/s00500-020-04840-9⟩","raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[{"score":0.44999998807907104,"display_name":"Industry, innovation and infrastructure","id":"https://metadata.un.org/sdg/9"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":60,"referenced_works":["https://openalex.org/W10810736","https://openalex.org/W184583885","https://openalex.org/W1556389300","https://openalex.org/W1587531704","https://openalex.org/W1812558952","https://openalex.org/W1813708725","https://openalex.org/W1850081360","https://openalex.org/W1965928820","https://openalex.org/W1974640819","https://openalex.org/W1979573625","https://openalex.org/W1980262437","https://openalex.org/W1992511687","https://openalex.org/W1995834279","https://openalex.org/W2008418230","https://openalex.org/W2016130389","https://openalex.org/W2016381774","https://openalex.org/W2029056003","https://openalex.org/W2043619250","https://openalex.org/W2052364013","https://openalex.org/W2060581589","https://openalex.org/W2062125287","https://openalex.org/W2093432936","https://openalex.org/W2095702869","https://openalex.org/W2107993500","https://openalex.org/W2112790040","https://openalex.org/W2123226256","https://openalex.org/W2132105090","https://openalex.org/W2139753118","https://openalex.org/W2147116730","https://openalex.org/W2147675445","https://openalex.org/W2156790118","https://openalex.org/W2157903047","https://openalex.org/W2161503240","https://openalex.org/W2163885535","https://openalex.org/W2163886442","https://openalex.org/W2165408259","https://openalex.org/W2167012286","https://openalex.org/W2235843948","https://openalex.org/W2240623200","https://openalex.org/W2241184227","https://openalex.org/W2253469807","https://openalex.org/W2541919214","https://openalex.org/W2765209993","https://openalex.org/W2765400181","https://openalex.org/W2783331691","https://openalex.org/W2795689229","https://openalex.org/W2891810062","https://openalex.org/W2963177291","https://openalex.org/W3104363895","https://openalex.org/W3105672394","https://openalex.org/W3121682558","https://openalex.org/W3123064549","https://openalex.org/W3123337807","https://openalex.org/W3124443460","https://openalex.org/W3124979234","https://openalex.org/W4206196235","https://openalex.org/W4234894636","https://openalex.org/W4237239309","https://openalex.org/W4243563432","https://openalex.org/W4250959758"],"related_works":["https://openalex.org/W2614563012","https://openalex.org/W4293337373","https://openalex.org/W1968533609","https://openalex.org/W1984270607","https://openalex.org/W2349333549","https://openalex.org/W2486803649","https://openalex.org/W2116445905","https://openalex.org/W2886934452","https://openalex.org/W1489099099","https://openalex.org/W2024369332"],"abstract_inverted_index":null,"counts_by_year":[{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2}],"updated_date":"2026-07-29T09:40:50.615796","created_date":"2025-10-10T00:00:00"}